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Polynomial-Normal extension of Black-Scholes model

  • Author / Creator
    Li, Hao
  • Black-Scholes Model is a widely used mathematical model for stock price behaviors, of which the return is assumed to be normally distributed. But this 'normally distributed' assumption is doubted and proved to be not true by realistric data. The main goal of this thesis is to explore polynomial-normal distribution, and use this distribution in the stock return, as a non-normal extension of the Black-Scholes Model. We will develop the properties of polynomial-normal distribtuion in the thesis, and also give the European call and put option price formulas under this model, and show how to use this model to estimate real stock returns.

  • Subjects / Keywords
  • Graduation date
    2009-11
  • Type of Item
    Thesis
  • Degree
    Master of Science
  • DOI
    https://doi.org/10.7939/R3G99Q
  • License
    This thesis is made available by the University of Alberta Libraries with permission of the copyright owner solely for non-commercial purposes. This thesis, or any portion thereof, may not otherwise be copied or reproduced without the written consent of the copyright owner, except to the extent permitted by Canadian copyright law.
  • Language
    English
  • Institution
    University of Alberta
  • Degree level
    Master's
  • Department
    • Department of Mathematical and Statistical Sciences
  • Supervisor / co-supervisor and their department(s)
    • Alexander Melnikov (Math and Stat Sciences)
  • Examining committee members and their departments
    • Vladyslav Yaskin (Math and Stat Sciences)
    • Byron Schmuland (Math and Stat Sciences)
    • Alexander Melnikov (Math and Stat Sciences)
    • Csaba Szepesvari (Computing Science)